Re: TermStructure question.

Posted by Ferdinando Ametrano-4 on
URL: http://quantlib.414.s1.nabble.com/TermStructure-question-tp3917p3919.html

Luigi Ballabio wrote:
>     the parRate method is just an approximation---it doesn't take  into
> account all market conventions for swaps---

the par rate is like a zero rate or a discount factor: all of them are
formulae/definitions that express the current (today) value of future
payment(s). As such none of them mind about any market convention at all.

> as a matter of fact  I've
> a mind to remove it from the YieldTermStructure interface.

I would not. It might be stressed in a better way that the par rate is
not a swap rate, but the par rate has its own right to exist.

> The  right
> way to evaluate the par rate is to instantiate a SimpleSwap and  call
> its fairRate() method, as is done later in the example.

Yeah!

ciao -- Nando